The sword is located in the chapter called "Breakdown" in the second War Story "Through Mud and Blood".

After you got your first engine part you can find the Cavalry Sword on the way to the second part. Pickup the Cavalry Sword and kill an enemy to unlock the sword achievement. Kill 9 more enemies with the Cavalry Sword and the Up close and personal achievement unlocks.

Of course you can do this with any melee weapon but there is probably the first and easiest place to earn both achievements together in no time.